On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing

DOI10.1007/S11425-009-0058-YzbMATH Open1213.91073OpenAlexW2050795749MaRDI QIDQ1042946FDOQ1042946

Authors: Demian Pouzo, Xiaohong Chen 

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0058-y

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zbMATH Keywords

optimal convergence ratesHilbert scalesoption pricesnonlinear ill-posed inverse problemspricing of defaultable bonds

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solution to inverse problems in abstract spaces (65J22)

Cites Work

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Cited In (2)

• Title not available (Why is that?)
• Solution of ill-posed problems on sets of functions convex along all lines parallel to coordinate axes

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